I found it, gth04. The IE bookmarks were located in C:\Documents and Settings\
my name\favorites.
I did what you said, by adding a website to IE Favorites but I didn't use Explorer to find it. Instead, I opened up the Favorites in IE, right-clicked the website and went to properties. This showed me the location, then I used Explorer and went to the location and there it was!
Thanks for leading me in the right direction (and for the quick reply also).
